Search Results - subject:"Futures"

A New Interpretation and Derivation of the Swaps Index

Surana, Khushboo; Cosaert, Sam - 2023

The Swaps index (Apesteguia and Ballester, 2015) is a popular measure of rationality in the revealed preferences literature. In this note, we show a connection between the Swaps index and the Kemeny rule, a well-known method of preference aggregation in social choice theory. Our new...

Persistent link: https://www.econbiz.de/10014256858

Empirical Tests of the Green Paradox for Climate Legislation

Norman, Maya A.; Schlenker, Wolfram - National Bureau of Economic Research - 2024

futures responded negatively to daily changes in the prediction market's expectations that the Waxman-Markey bill -- the US …

Persistent link: https://www.econbiz.de/10014544684

Volatility and depth in commodity and FX futures markets

Aidov, Alexandre; Lobanova, Olesya - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16

foreign exchange futures markets during a turbulent time using the generalized method of moments (GMM). Results indicate a …

Persistent link: https://www.econbiz.de/10012795882

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

Pesaran, Bahram; Pesaran, M. Hashem - 2021

currency futures, government bonds and equity index futures. The results strongly reject the normal-DCC model in favour of a t …

Persistent link: https://www.econbiz.de/10013316934

Why is water illiquid? : the NQH2O water index futures

Wang, Jingjing; Wang, Xiaoyang - In: Applied economic perspectives and policy 45 (2023) 1, pp. 602-621

Persistent link: https://www.econbiz.de/10014240148

An analytical study of equity derivatives traded on the NSE of India

Dungore, Parizad Phiroze; Singh, Kulbir; Pai, Rajesh - In: Cogent business & management 9 (2022) 1, pp. 1-13

To analyze day trading dynamics for Nifty Index futures and options contracts, a detailed study is steered to …% of the total trades for futures and options contracts, respectively. This signifies high volatility. Volume traded by …. For non-day Nifty Index futures contracts, low volumes are traded as opposed to high volumes for day trades, suggesting …

Persistent link: https://www.econbiz.de/10014433709

The Effects of index futures trading volume on spot market volatility in a frontier market : evidence from Ho Chi Minh stock exchange

Loc Dong Truong; Friday, H. S.; Nguyen Thi Kim Anh - In: Risks : open access journal 10 (2022) 12, pp. 1-13

This analysis is the first to investigate the influence of index futures trading volume on spot market volatility for … the Ho Chi Minh Stock Exchange (HOSE). The data utilized in this study are the daily VN30-Index futures contract trading … volume starting at the inception date for the VN30-Index futures contract, 10 August 2017 and going through 10 August 2022 …

Persistent link: https://www.econbiz.de/10014230946

The tail risk safe haven property of China's energy futures against US market implied volatility

Dai, Xingyu; Dai, Peng-Fei; Wang, Qunwei; Ouyang, Zhi-Yi - In: Journal of management science and engineering 9 (2024) 2, pp. 271-291

This paper analyses the tail risk contagion of US market implied volatility (USIV) on China's energy futures (CEF … coal futures can serve as a weak safe haven, aiding long-position investors in mitigating the tail risks associated with US … gold and stock market implied volatility. Coking coal futures also assist short-position investors in countering US stock …

Persistent link: https://www.econbiz.de/10014632205

SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates

Brace, Alan; Gellert, Karol; Schlögl, Erik - In: The journal of futures markets 44 (2024) 6, pp. 936-985

Persistent link: https://www.econbiz.de/10014536708

A static replication approach for callable interest rate derivatives : mathematical foundations and efficient estimation of SIMM-MVA

Hoencamp, J. H.; Jain, Surbhi; Kandhai, B. D. - In: Quantitative finance 24 (2024) 3/4, pp. 409-432

Persistent link: https://www.econbiz.de/10014552078